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Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy

Nakajima, Jouchi; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2011

This paper applies the time-varying parameter vector autoregressive model to the Japanese economy. The both parameters and volatilities, which are assumed to follow a random-walk process, are estimated using a Bayesian method with MCMC. The recursive structure is assumed for identification and...

Persistent link: https://www.econbiz.de/10009209767

Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy

Nakajima, Jouchi; Kasuya, Munehisa; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2009

This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The time-varying parameters are estimated via the Markov chain Monte Carlo method and the posterior estimates of parameters reveal the time-varying structure of the...

Persistent link: https://www.econbiz.de/10005034714